Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 4 3
Score 2.2 2.61 1.78
Market Cap (Millions USD) 6239.37 6000.05 5621.69
Predicted Beta 0.56 0.56 0.55
Idiosyncratic Volatility 0.84 0.89 0.92

Annualized return and volatility

IUSV
Annualized Return 0.0740
Annualized Std Dev 0.1877
Annualized Sharpe (Rf=0%) 0.3940

Row

Daily Return Statistics

IUSV
Observations 4960.0000
NAs 153.0000
Minimum -0.0961
Quartile 1 -0.0042
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0056
Maximum 0.1012
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0118
Skewness -0.1608
Kurtosis 9.7800

Downside Risk

IUSV
Semi Deviation 0.0085
Gain Deviation 0.0086
Loss Deviation 0.0095
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.6018
Historical VaR (95%) -0.0179
Historical ES (95%) -0.0289
Modified VaR (95%) -0.0173
Modified ES (95%) -0.0270
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-01-29 -0.6018 1449 455 994
2001-05-23 2002-10-09 2003-12-18 -0.3374 659 351 308
2018-01-29 2018-12-24 2019-04-23 -0.1898 315 233 82
2015-06-24 2016-02-11 2016-06-08 -0.1656 246 164 82
2001-02-13 2001-03-22 2001-05-16 -0.1351 66 27 39

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IUSV
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA 0.0 0.0 -0.4 0.7 0.0 0.3
2001 0.1 -0.4 0.0 1.1 0.0 0.0 0.0 0.0 -0.2 1.7 0.0 0.0 2.4
2002 -0.7 1.5 -0.5 0.7 0.0 -2.2 -2.2 0.0 3.2 2.3 0.0 0.0 2.0
2003 0.0 0.0 0.4 -0.2 0.0 0.7 -1.0 0.0 1.8 0.0 1.0 0.0 2.7
2004 0.0 1.0 0.4 0.0 0.0 -0.9 0.0 0.5 1.6 0.5 1.1 0.0 4.2
2005 0.7 0.4 -0.5 0.0 0.5 0.4 0.0 0.2 0.0 -0.1 1.2 0.0 2.8
2006 0.2 1.1 0.0 -0.4 1.4 0.0 -0.2 0.4 0.0 -0.7 -0.2 0.0 1.4
2007 0.7 -0.2 0.0 0.1 0.4 0.0 0.5 0.0 1.5 -3.1 0.0 0.0 -0.1
2008 1.9 0.0 3.8 1.8 0.0 0.4 -0.1 0.0 0.5 0.0 -9.6 0.0 -1.9
2009 0.0 0.0 2.1 0.4 2.4 0.4 0.0 -2.5 -2.9 0.0 1.1 0.0 0.8
2010 1.4 1.0 0.9 0.0 -2.4 -0.5 0.0 3.1 0.5 -0.2 2.1 0.0 6.1
2011 1.7 -1.4 0.5 0.0 -2.4 1.4 -0.2 -1.4 0.0 -3.2 -0.6 0.0 -5.6
2012 1.3 0.6 0.0 0.8 -2.5 0.0 -0.5 0.0 0.3 1.1 0.0 0.0 1.1
2013 0.8 0.3 -0.3 -1.2 0.0 1.1 1.2 0.0 0.9 0.3 0.0 0.0 3.2
2014 0.0 0.0 0.6 -0.1 0.0 0.6 -0.5 0.0 -1.4 0.0 -0.5 0.0 -1.3
2015 0.0 0.0 -0.3 0.9 -0.1 0.6 0.0 -3.2 0.1 0.0 1.0 0.0 -1.0
2016 -0.3 2.3 0.4 0.0 0.2 0.4 -0.7 -0.1 0.0 -0.6 0.1 0.0 1.7
2017 -0.2 1.5 0.0 0.0 1.1 0.0 0.2 0.5 0.0 0.3 -0.1 0.0 3.2
2018 0.1 -1.1 0.0 -0.2 0.7 0.0 -0.6 0.0 0.4 1.0 0.0 0.0 0.3
2019 0.1 0.6 1.3 -0.5 0.0 0.7 -1.3 0.0 -1.5 1.4 0.0 0.1 0.8

Row

Rolling Performance Chart

Snail Trail Chart